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- W2156972015 abstract "Abstract This study extends the Hull and White (1993 J. Derivatives 1 21–31) binomial method to construct a trinomial model for the valuation of American-style options whose strike price can be reset to a new level. The reset criterion is conditioned upon the average underlying asset price hitting the reset barrier in a specified period although the model proposed can accommodate other features. For prices benchmarked against ordinary Asian options, we investigate the difference between a daily reset warrant and a period-average reset warrant and find that the number of time steps between observations affects the value of American-style average price options and period-average reset options." @default.
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- W2156972015 date "2004-06-01" @default.
- W2156972015 modified "2023-10-18" @default.
- W2156972015 title "Pricing options with American-style average reset features" @default.
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- W2156972015 doi "https://doi.org/10.1088/1469-7688/4/3/005" @default.
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